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MAINT: Factor out treasury_curve argument from risk choose_benchmark

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Move the reference to self.treasury_curve to a parameter, on the path
of making this method a module level function.
This commit is contained in:
Eddie Hebert
2013-04-03 15:07:37 -04:00
parent 39038131db
commit 2e603fa936
1 changed files with 7 additions and 5 deletions
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zipline/finance/risk.py
+7 -5
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@@ -236,6 +236,7 @@ class RiskMetricsBase(object):
self.algorithm_volatility = self.calculate_volatility(
self.algorithm_returns)
self.treasury_period_return = self.choose_treasury(
self.treasury_curves,
self.start_date,
self.end_date
)
@@ -426,7 +427,7 @@ class RiskMetricsBase(object):
return 1.0 - math.exp(max_drawdown)
def choose_treasury(self, start_date, end_date):
def choose_treasury(self, treasury_curves, start_date, end_date):
td = end_date - start_date
if td.days <= 31:
treasury_duration = '1month'
@@ -452,8 +453,8 @@ class RiskMetricsBase(object):
end_day = end_date.replace(hour=0, minute=0, second=0)
search_day = None
if end_day in self.treasury_curves:
rate = get_treasury_rate(self.treasury_curves,
if end_day in treasury_curves:
rate = get_treasury_rate(treasury_curves,
treasury_duration,
end_day)
if rate is not None:
@@ -467,7 +468,7 @@ class RiskMetricsBase(object):
# Find rightmost value less than or equal to end_day
i = bisect.bisect_right(search_days, end_day)
for prev_day in search_days[i - 1::-1]:
rate = get_treasury_rate(self.treasury_curves,
rate = get_treasury_rate(treasury_curves,
treasury_duration,
prev_day)
if rate is not None:
@@ -487,7 +488,7 @@ treasury history range."
log.warn(message)
if search_day:
self.treasury_curve = self.treasury_curves[search_day]
treasury_curves[search_day]
return rate * (td.days + 1) / 365
message = "No rate for end date = {dt} and term = {term}. Check \
@@ -570,6 +571,7 @@ algorithm_returns ({algo_count}) in range {start} : {end}"
self.algorithm_volatility.append(
self.calculate_volatility(self.algorithm_returns))
self.treasury_period_return = self.choose_treasury(
self.treasury_curves,
self.start_date,
self.end_date
)